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Optimization Constraints

Asked by George on 15 Nov 2011

Hi

I want to find a solution of the following problem.

min 1/2 * x'*Q*x - f*x' s.t. sum(x) = 0 sum(abs(x)) = 1

I am using the function quadprog but i don't know how to give the second constraint the one with the absolute.

Is there a way to give such constraints in quadprog or fmincon or some other matlab optimization function??

Any help would be appreciated

Thanks George

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George

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1 Answer

Answer by George on 16 Nov 2011
Accepted answer

I think i can use the argument nonlcon in fmincon function.

function [cineq ceq] = nonlcon(x)
ceq sum(abs(x))-1;
cineq = [];
end
fmincon(@myfun,A,b,Aeq,beq,lb,ub,@nonlcon,options); 

Anyone can confirm that?

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George

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